| Publication | Date of Publication | Type |
|---|
On the cost of risk misspecification in insurance pricing
Japanese Journal of Statistics and Data Science | 2025-01-22 | Paper |
| The matrix sequential probability ratio test and multivariate ruin theory | 2024-10-31 | Paper |
Informed censoring: the parametric combination of data and expert information
Journal of Statistical Planning and Inference | 2024-08-26 | Paper |
Optimal dividend strategies for a catastrophe insurer
Frontiers of Mathematical Finance | 2024-07-31 | Paper |
| Optimal reinsurance from an optimal transport perspective | 2023-12-11 | Paper |
| Optimal dividend strategies for a catastrophe insurer | 2023-11-09 | Paper |
Optimal dividend bands revisited: a gradient-based method and evolutionary algorithms
Scandinavian Actuarial Journal | 2023-09-11 | Paper |
Optimal dividend bands revisited: a gradient-based method and evolutionary algorithms
Scandinavian Actuarial Journal | 2023-09-11 | Paper |
Joint lifetime modeling with matrix distributions
Dependence Modeling | 2023-06-26 | Paper |
Continuous scaled phase-type distributions
Stochastic Models | 2023-05-17 | Paper |
Optimal dividends under a drawdown constraint and a curious square-root rule
Finance and Stochastics | 2023-04-12 | Paper |
Approximations of copulas via transformed moments
Methodology and Computing in Applied Probability | 2023-02-17 | Paper |
Mortality modeling and regression with matrix distributions
Insurance Mathematics & Economics | 2023-02-01 | Paper |
Fitting inhomogeneous phase‐type distributions to data: the univariate and the multivariate case
Scandinavian Journal of Statistics | 2023-01-05 | Paper |
Penalised likelihood methods for phase-type dimension selection
Statistics & Risk Modeling | 2022-11-04 | Paper |
| Space-grid approximations of hybrid stochastic differential equations and first passage properties | 2022-11-03 | Paper |
Mortality modeling and regression with matrix distributions
Insurance Mathematics & Economics | 2022-11-01 | Paper |
Optimal Ratcheting of Dividends in a Brownian Risk Model
SIAM Journal on Financial Mathematics | 2022-07-22 | Paper |
Blockchain mining in pools: analyzing the trade-off between profitability and ruin
Insurance Mathematics & Economics | 2022-07-15 | Paper |
On the randomized Schmitter problem
Methodology and Computing in Applied Probability | 2022-07-07 | Paper |
On a Markovian game model for competitive insurance pricing
Methodology and Computing in Applied Probability | 2022-07-07 | Paper |
Optimal dividends under a drawdown constraint and a curious square-root rule
(available as arXiv preprint) | 2022-06-24 | Paper |
Asymptotic analysis of generalized Greenwood statistics for very heavy tails
Statistics & Probability Letters | 2022-04-22 | Paper |
A bivariate Laguerre expansions approach for joint ruin probabilities in a two-dimensional insurance risk process
Insurance Mathematics & Economics | 2022-03-10 | Paper |
On the profitability of selfish blockchain mining under consideration of ruin
Operations Research | 2022-02-18 | Paper |
Impact of underwriting cycles on the solvency of an insurance company
North American Actuarial Journal | 2022-02-11 | Paper |
“On the Merger of Two Companies,” Hans Gerber and Elias S. W. Shiu, July 2006
North American Actuarial Journal | 2022-01-10 | Paper |
Authors' reply: ``A risk model with multilayer dividend strategy -- discussion by Cheung; Ramin Okhrati
North American Actuarial Journal | 2022-01-10 | Paper |
A risk model with multilayer dividend strategy
North American Actuarial Journal | 2022-01-10 | Paper |
Efficient simulation of ruin probabilities when claims are mixtures of heavy and light tails
Methodology and Computing in Applied Probability | 2022-01-07 | Paper |
Structured reinsurance deals with reference to relative market performance
Insurance Mathematics & Economics | 2021-11-19 | Paper |
Fitting Nonstationary Cox Processes: An Application to Fire Insurance Data
North American Actuarial Journal | 2021-11-15 | Paper |
TEMPERED PARETO-TYPE MODELLING USING WEIBULL DISTRIBUTIONS
ASTIN Bulletin | 2021-09-24 | Paper |
Trimmed extreme value estimators for censored heavy-tailed data
Electronic Journal of Statistics | 2021-08-09 | Paper |
Multivariate matrix Mittag-Leffler distributions
Annals of the Institute of Statistical Mathematics | 2021-07-20 | Paper |
Threshold selection and trimming in extremes
Extremes | 2021-05-21 | Paper |
Multivariate fractional phase-type distributions
Fractional Calculus \ Applied Analysis | 2021-03-31 | Paper |
Mortality modeling and regression with matrix distributions
(available as arXiv preprint) | 2020-11-06 | Paper |
Optimal ratcheting of dividends in insurance
SIAM Journal on Control and Optimization | 2020-11-03 | Paper |
Combined tail estimation using censored data and expert information
Scandinavian Actuarial Journal | 2020-09-28 | Paper |
Matrix Mittag-Leffler distributions and modeling heavy-tailed risks
Extremes | 2020-09-10 | Paper |
Finite-time ruin probabilities under large-claim reinsurance treaties for heavy-tailed claim sizes
Journal of Applied Probability | 2020-07-22 | Paper |
A numerical approach to ruin models with excess of loss reinsurance and reinstatements
Proceedings of COMPSTAT'2010 | 2020-07-14 | Paper |
Fitting inhomogeneous phase-type distributions to data: the univariate and the multivariate case
(available as arXiv preprint) | 2020-06-23 | Paper |
The single server queue with mixing dependencies
Methodology and Computing in Applied Probability | 2020-05-04 | Paper |
On marine liability portfolio modeling
ASTIN Bulletin | 2020-02-03 | Paper |
Inhomogeneous phase-type distributions and heavy tails
Journal of Applied Probability | 2019-12-17 | Paper |
Optimal dividend strategies for two collaborating insurance companies
Advances in Applied Probability | 2019-09-16 | Paper |
On randomized reinsurance contracts
Insurance Mathematics & Economics | 2019-01-15 | Paper |
Dividends: from refracting to ratcheting
Insurance Mathematics & Economics | 2018-11-19 | Paper |
Linking dividends and capital injections -- a probabilistic approach
Scandinavian Actuarial Journal | 2018-08-31 | Paper |
Risk theory with affine dividend payment strategies
Number Theory – Diophantine Problems, Uniform Distribution and Applications | 2018-08-17 | Paper |
| On the joint distribution of tax payments and capitalinjections for a Lévy risk model | 2018-08-08 | Paper |
Reinsurance. Actuarial and statistical aspects
Wiley Series in Probability and Statistics | 2017-11-10 | Paper |
Pricing of Parisian Options for a Jump-Diffusion Model with Two-Sided Jumps
Applied Mathematical Finance | 2017-10-05 | Paper |
A QUEUEING MODEL WITH RANDOMIZED DEPLETION OF INVENTORY
Probability in the Engineering and Informational Sciences | 2017-09-19 | Paper |
Old-age provision: past, present, future
European Actuarial Journal | 2017-06-06 | Paper |
Strikingly simple identities relating exit problems for Lévy processes under continuous and Poisson observations
Stochastic Processes and their Applications | 2016-12-27 | Paper |
Exit identities for Lévy processes observed at Poisson arrival times
Bernoulli | 2016-05-12 | Paper |
Exit identities for Lévy processes observed at Poisson arrival times
Bernoulli | 2016-05-12 | Paper |
On the non-optiomality of proportional reinsurance according to the dividend criterion
Mitteilungen. Schweizerische Aktuarvereinigung (SAV) | 2016-04-07 | Paper |
Competition among non-life insurers under solvency constraints: a game-theoretic approach
European Journal of Operational Research | 2015-07-29 | Paper |
Exact boundaries in sequential testing for phase-type distributions
Journal of Applied Probability | 2015-04-14 | Paper |
Exact boundaries in sequential testing for phase-type distributions
Journal of Applied Probability | 2015-04-14 | Paper |
A note on moments of dividends
Acta Mathematicae Applicatae Sinica. English Series | 2014-11-27 | Paper |
Power identities for Lévy risk models under taxation and capital injections
Stochastic Systems | 2014-10-07 | Paper |
Power identities for Lévy risk models under taxation and capital injections
Stochastic Systems | 2014-10-07 | Paper |
On Simple Ruin Expressions in Dependent Sparre Andersen Risk Models
Journal of Applied Probability | 2014-05-14 | Paper |
The tax identity for Markov additive risk processes
Methodology and Computing in Applied Probability | 2014-04-14 | Paper |
From ruin to bankruptcy for compound Poisson surplus processes
ASTIN Bulletin | 2014-02-27 | Paper |
| Joint asymptotic distributions of smallest and largest insurance claims | 2014-02-25 | Paper |
Randomized observation periods for the compound Poisson risk model: the discounted penalty function
Scandinavian Actuarial Journal | 2013-12-17 | Paper |
Ruin problems under IBNR dynamics
Applied Stochastic Models in Business and Industry | 2013-11-15 | Paper |
| A risk model with an observer in a Markov environment | 2013-10-11 | Paper |
Equalization reserves for natural catastrophes and shareholder value: a simulation study
European Actuarial Journal | 2013-08-20 | Paper |
| On optimal dividend strategies in insurance with an random time horizon | 2013-06-12 | Paper |
Exact and asymptotic results for insurance risk models with surplus-dependent premiums
SIAM Journal on Applied Mathematics | 2013-06-06 | Paper |
Tail asymptotics for dependent subexponential differences
Siberian Mathematical Journal | 2013-02-19 | Paper |
Optimal dividend strategies for a compound Poisson process under transaction costs and power utility
Stochastic Models | 2013-02-11 | Paper |
Asymptotic results for renewal risk models with risky investments
Stochastic Processes and their Applications | 2012-10-10 | Paper |
Introduction to Quantitative Methods for Financial Markets
Compact Textbooks in Mathematics | 2012-08-13 | Paper |
On the non-optimality of horizontal barrier strategies in the Sparre Andersen model
HERMIS-\(\mu\pi\). Hellenic European Research on Mathematics and Informatics Science | 2012-07-02 | Paper |
Randomized onservation periods for the compound Poisson risk model: dividends
ASTIN Bulletin | 2012-06-11 | Paper |
An algebraic operator approach to the analysis of Gerber-Shiu functions
Insurance Mathematics & Economics | 2012-02-10 | Paper |
On ruin probability and aggregate claim representations for Pareto claim size distributions
Insurance Mathematics & Economics | 2012-02-10 | Paper |
Optimal dividend-payout in random discrete time
Statistics & Risk Modeling | 2011-12-19 | Paper |
Ruin excursions, the \(G/G/\infty \) queue, and tax payments in renewal risk models
Journal of Applied Probability | 2011-10-25 | Paper |
The optimal dividend barrier in the gamma-omega model
European Actuarial Journal | 2011-08-25 | Paper |
A Direct Approach to the Discounted Penalty Function
North American Actuarial Journal | 2011-08-23 | Paper |
Explicit ruin formulas for models with dependence among risks
Insurance Mathematics & Economics | 2011-08-01 | Paper |
Ruin theory with excess of loss reinsurance and reinstatements
Applied Mathematics and Computation | 2011-06-28 | Paper |
On excess-of-loss reinsurance
Theory of Probability and Mathematical Statistics | 2011-04-06 | Paper |
Higher-order expansions for compound distributions and ruin probabilities with subexponential claims
Scandinavian Actuarial Journal | 2011-02-22 | Paper |
| On the covergence of a solution method for a risk model with gamma-distributed claims | 2010-05-27 | Paper |
| Ruin probabilities | 2010-05-17 | Paper |
An asymptotic expansion for the tail of compound sums of Burr distributed random variables
Statistics & Probability Letters | 2010-04-01 | Paper |
On the efficient evaluation of ruin probabilities for completely monotone claim distributions
Journal of Computational and Applied Mathematics | 2010-02-12 | Paper |
Optimality results for dividend problems in insurance
Revista de la Real Academia de Ciencias Exactas, Fisicas y Naturales. Serie A. Matematicas | 2010-01-27 | Paper |
A combinational identity for a problem in asymptotic statistic
Applicable Analysis and Discrete Mathematics | 2009-12-04 | Paper |
Asymptotics of the sample coefficient of variation and the sample dispersion
Journal of Statistical Planning and Inference | 2009-11-30 | Paper |
Asymptotic results for the sum of dependent non-identically distributed random variables
Methodology and Computing in Applied Probability | 2009-08-31 | Paper |
The tax identity in risk theory - a simple proof and an extension
Insurance Mathematics & Economics | 2009-05-12 | Paper |
| A generic one-factor Lévy model for pricing synthetic CDOs | 2009-01-28 | Paper |
| On exact solutions for dividend strategies of threshold and linear barrier type in a Sparre Andersen model | 2009-01-28 | Paper |
| scientific article; zbMATH DE number 5358926 (Why is no real title available?) | 2008-10-29 | Paper |
Optimal dividend strategies for a risk process under force of interest
Insurance Mathematics & Economics | 2008-08-18 | Paper |
A Lévy Insurance Risk Process with Tax
Journal of Applied Probability | 2008-08-05 | Paper |
Identification of the local speed function in a Lévy model for option pricing
Journal of Integral Equations and Applications | 2008-08-05 | Paper |
On the dual risk model with tax payments
Insurance Mathematics & Economics | 2008-06-25 | Paper |
| Asymptotic analysis of a measure of variation | 2008-06-18 | Paper |
General Lower Bounds for Arithmetic Asian Option Prices
Applied Mathematical Finance | 2008-05-22 | Paper |
| Robert F. Tichy: 50 years -- the unreasonable effectiveness of a number theorist | 2008-03-11 | Paper |
Tail asymptotics for the sum of two heavy-tailed dependent risks
Extremes | 2007-12-16 | Paper |
Lundberg's risk process with tax
Blätter der DGVFM (Deutsche Gesellschaft für Versicherungs- und Finanzmathematik) | 2007-10-10 | Paper |
Dividend maximization under consideration of the time value of ruin
Insurance Mathematics & Economics | 2007-07-19 | Paper |
Ruin probabilities and aggregrate claims distributions for shot noise Cox processes
Scandinavian Actuarial Journal | 2007-05-29 | Paper |
| Some extensions of the classical ruin model in risk theory | 2007-03-20 | Paper |
Exponential Behavior in the Presence of Dependence in Risk Theory
Journal of Applied Probability | 2006-09-25 | Paper |
On the distribution of dividend payments and the discounted penalty function in a risk model with linear dividend barrier
Scandinavian Actuarial Journal | 2006-05-24 | Paper |
On the discounted penalty function in a Markov-dependent risk model
Insurance Mathematics & Economics | 2006-03-08 | Paper |
On the distribution of dividend payments in a Sparre Andersen model with generalized Erlang(\(n\)) interclaim times
Insurance Mathematics & Economics | 2006-01-10 | Paper |
“Optimal Dividends: Analysis with Brownian Motion,” Ana C. Cebrián, Hans U. Gerber and Elias S.W. Shiu, January 2004
North American Actuarial Journal | 2006-01-06 | Paper |
An asymptotical study of combinatorial optimization problems by means of statistical mechanics
Journal of Computational and Applied Mathematics | 2005-11-01 | Paper |
A note on the asymptotic behaviour of bottleneck problems
Operations Research Letters | 2005-08-25 | Paper |
QMC techniques for CAT bond pricing *
Monte Carlo Methods and Applications | 2005-03-10 | Paper |
A ruin model with dependence between claim sizes and claim intervals
Insurance Mathematics & Economics | 2005-01-13 | Paper |
On Asian option pricing for NIG Lévy processes
Journal of Computational and Applied Mathematics | 2004-10-12 | Paper |
| scientific article; zbMATH DE number 2020182 (Why is no real title available?) | 2004-03-01 | Paper |
On a gamma series expansion for the time-dependent probability of collective ruin
Insurance Mathematics & Economics | 2003-11-16 | Paper |
Simulation methods in ruin models with nonlinear dividend barriers.
Mathematics and Computers in Simulation | 2003-05-19 | Paper |
| scientific article; zbMATH DE number 1865924 (Why is no real title available?) | 2003-02-10 | Paper |
Risk theory with a nonlinear dividend barrier
Computing | 2002-09-25 | Paper |
Simulation of ruin probabilities for risk processes of Markovian type
Monte Carlo Methods and Applications | 2002-09-22 | Paper |
| scientific article; zbMATH DE number 1978949 (Why is no real title available?) | 2002-01-01 | Paper |
| scientific article; zbMATH DE number 1978951 (Why is no real title available?) | 2002-01-01 | Paper |
Discrepancy of point sequences on fractal sets
Publicationes Mathematicae Debrecen | 2001-04-01 | Paper |
